3rd Party Plugins
I prefer to download the pro version, its got all the options of full and you don't have to worry about missing to uncheck things you may not want. It asks for the pro serial, but if you don't have it, just click cancel and thats the end of it.
The nice thing about winamp is that you can customize your install and add additional plugins if you need them. Here you can see my install:
I don't care for the bundled media library plugins, or sonic ripping/burning support. I think these two areas are of major concern because they generally cause the most issues. Above I have modern skin support installed. I leave it, however, I goto my plugins folder (program files\winamp\plugins\) and rename the file to gen_ff.dll.off (to break it) so at least I have it if I want to test a modern skin. I have many of the audio plugins installed, however I only listen to mp3's, So i technically could get rid of a few more plugins. I get rid of all visualizations and cut down my output plugins because I will only be using my directsound plugin. You can install any of the plugins I have not and later go and delete them, either by going to program files\winamp\plugins\ or by going into winamp preferences > Plugins > Clicking uninstall selected plugin.
For the remainder of the install, its OK just to click Next straight through, there are some things I don't like (such as desktop icon, and sending anonymous usage, but those things can be taken care of later).